[R] fft: characteristic function to distribution
jindan at gmail.com
Mon Sep 8 18:57:48 CEST 2008
This question had been posted by Thomas Steiner in May, but I couldn't
locate any followups thereafter, see:
I want to raise up this question in a (hopefully) even simpler way:
Given a random variable X, it's characteristic function and density
function forms a Fourier pair. In the case of standard normal
distribution, the characteristic function has the form:
Is it possible to use fft function in R to recover the density (or
cumulative) function of the standard normal distribution? If yes, can
someone demonstrate with code?
Thanks in advance for the help! I am working on a financial project
and really need an working example to understand the whole picture.
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